Cointegrated continuous-time linear state-space and MCARMA models (Q5086527)
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scientific article; zbMATH DE number 7553697
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| English | Cointegrated continuous-time linear state-space and MCARMA models |
scientific article; zbMATH DE number 7553697 |
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Cointegrated continuous-time linear state-space and MCARMA models (English)
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5 July 2022
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canonical form
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cointegration
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error correction form
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Granger representation theorem
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identification
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Kalman filter
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state-space model
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cointegrated multivariate Lévy-driven autoregressive moving-average processes
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0.8259315490722656
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0.8107007145881653
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0.8002605438232422
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